Don't want to collect luggage in connecting flight

I am planning to visit Iceland and don't have any direct flight from Delhi. As i am a frequent flier of Jet airways, i want to take connecting flight to Iceland via Amsterdam. Now as Jet airways don't offer flight to Iceland, it will not be a single trip. Does this mean that i need to collect my luggage at Amsterdam? If yes, then how can i avoid it and collect luggage directly at my destination.

EDIT:

I was planning to book 2 separate tickets as i didn't see Iceland as destination on Jet airways website. But based on the responses below it seems i can book single ticket across airlines with no codeshare.

Best Answer

From TripAdvisor:

If you are travelling Schengen to Schengen, or Non Schengen to Non Schengen, there will be no immigration checks. There are no security checks at the gates.

And from Schiphol Airport:

Most of the time, your baggage will be automatically sent to your connecting flight. The only exception is if you’re travelling on two separate tickets. In that case, your baggage will be delivered to baggage reclaim area.

So it sounds like if you book your entire trip on one itinerary with Jet Airways, you won't need to collect your bags in Amsterdam when you connect.